Optimal investment of an insurer with regime-switching and risk constraint

Author： Liu Jingzhen   Yiu Ka-Fai Cedric   Siu Tak Kuen  

Publisher： Taylor & Francis Ltd

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2014, Iss.7, 2014-10, pp. : 583-601

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

Optimal investment-reinsurance with dynamic risk constraint and regime switching

By Liu Jingzhen  

Scandinavian Actuarial Journal, Vol. 2013, Iss. 4, 2013-07 ,pp. : 263-285

Taylor & Francis Ltd

Access to resources Recommend Favorite

A stochastic differential game for optimal investment of an insurer with regime switching

By Elliott Robert   Siu Tak Kuen  

Quantitative Finance, Vol. 11, Iss. 3, 2011-03 ,pp. : 365-380

Routledge Ltd

Access to resources Recommend Favorite

Implications of a regime-switching model on natural gas storage valuation and optimal operation

By Chen Zhuliang   Forsyth Peter  

Quantitative Finance, Vol. 10, Iss. 2, 2010-02 ,pp. : 159-176

Routledge Ltd

Access to resources Recommend Favorite

Component-Driven Regime-Switching Volatility

By Fleming Jeff   Kirby Chris  

Journal of Financial Econometrics, Vol. 11, Iss. 2, 2013-03 ,pp. : 263-301

Oxford University Press

Access to resources Recommend Favorite

A risk-based approach for pricing American options under a generalized Markov regime-switching model

By Elliott Robert J.   Siu Tak Kuen  

Quantitative Finance, Vol. 11, Iss. 11, 2011-11 ,pp. : 1633-1646

Routledge Ltd

Access to resources Recommend Favorite